I personally found out two important things about good macro photos:
1. Bring enough light. Which almost certainly is not natural light, because small things tend to be hidden somewhere, below something and not in the bright sunlight. So you need a flash. And a strong one if you like a good depth of field (you need to stop down to f32)
2. Bring a remote flash, that can be triggered by your build in camera flash (like the Nikon D80 plus the Nikon SB-800) because you want to have some light from the side. Crossing the camera flash and the more powerful remote flash brings a good mixture of light to your object.

As an example lookhere!
Have a look at the depth of field - this was shot at f32 (!) and is still limited...